haku: @author Maringer, D. G. / yhteensä: 2
viite: 1 / 2
« edellinen | seuraava »
| Tekijä: | Maringer, D. G. |
| Otsikko: | Wertpapierselektion mittels Ant Systems |
| Lehti: | Zeitschrift für Betriebswirtschaft
2002 : DEC, VOL. 72:12, p. 1221-1240 |
| Asiasana: | PORTFOLIO MANAGEMENT SECURITIES EMPIRICAL RESEARCH ANALYTICAL REVIEW |
| Kieli: | ger |
| Tiivistelmä: | Empirical results suggest that investors tend to hold a rather small number of different assets in their portfolio. Therefore, portfolio management is concerned not only with determining the right weights of securities within a portfolio but also which securities to select in the first place. As this problem is NP hard, it can only be solved with heuristic search. In this paper the authors adopt the concept of Ant Systems, an approach already successfully applied to problems such as the Traveling Salesman Problem. The authors derive a modified version of this method for the Knapsack Problem with quadratic objective function in general and the security selection problem within a Markowitz framework in particular (original in German). |
« edellinen | seuraava »
SCIMA